考虑离群值的非寿险准备金案均赔款法  

Robust Payments Per Claim Method of Non-life Reserve Evaluation Based on Outlying Values

作　　者：闫春[1] 李延星 孙晓红[2] 刘志博[1] 

机构地区：[1]山东科技大学数学与系统科学学院,山东青岛266590 [2]山东科技大学审计处,山东青岛266590

出　　处：《保险研究》2015年第11期15-24,共10页Insurance Studies

基　　金：国家自然科学基金项目(61502280;61472228);青岛市应用基础研究计划项目(青年专项)(14-2-4-55-jch);山东省自然科学基金面上项目(ZR2014FM009);山东科技大学研究生教育创新计划项目(KDYC14016)

摘　　要：在案均赔款法中引入离群值,运用残差箱线图法和两点法对相关索赔数据进行离群值检验,然后针对离群值提出了一种稳健的案均赔款法,并对进展因子和结案率数据的选取方式加以修正。通过对两组不同数据同时引入离群值,对比了稳健的案均赔款法与传统案均赔款法对多个离群值的敏感性,并得出了相应的未决赔款准备金评估值。经过对比结果可以看出:稳健的案均赔款法可以对离群值进行有效的识别和调整,最终索赔额估计结果也比传统方法更加平稳。This paper introduced outlying values into the payments per claim method. The related claims data was tested for the outlying values by box plot of residuals and the two-point method. And then a robust payments per claim method for outlying values was put forward, and the selecting method of progress factors and settlement rate data was amended. The paper compared the sensitivity to multiple outlying values of the robust and the traditional payments per claim method by simultaneously introducing outlying values into two different sets of data and drew the corresponding value of outstanding claims reserve. We can see from the compared results that the robust payments per claim method can effectively identify and adjust outlying values, so that the estimation result of the final claim a- mount is more stable than that of traditional method.

关 键 词：未决赔款准备金 案均赔款法 离群值 

分 类 号：F840.65[经济管理—保险]